2003年1月
A partial sampling method applied to the Kusuoka approximation
Monte Carlo Methods and Applications
- 巻
- 9
- 号
- 1
- 開始ページ
- 27
- 終了ページ
- 38
- 記述言語
- 英語
- 掲載種別
- 研究論文(学術雑誌)
- DOI
- 10.1163/156939603322587443
The Kusuoka approximation is a new simulation scheme for diffusion processes which are solutions of SDE with smooth coefficients. The author had reported that the Kusuoka approximation realizes several thousands times faster calculation of some financial derivative pricing problems than the Euler-Maruyama approximation does. In this paper, the author applied TBBA to the Kusuoka approximation and succeeded in several hundreds times faster calculation than naive Monte Carlo sampling. © VSP 2003.
- ID情報
-
- DOI : 10.1163/156939603322587443
- ISSN : 0929-9629
- ISSN : 1569-3961
- SCOPUS ID : 40849150044